A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model

DOI10.1016/J.SPL.2018.04.003zbMATH Open1457.62333OpenAlexW2586618687WikidataQ129931485 ScholiaQ129931485MaRDI QIDQ1644178FDOQ1644178

Authors: Jinzhu Li 

Publication date: 21 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.04.003

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zbMATH Keywords

asymptoticsdependenceruin probabilityextended regular variationsubexponential classbidimensional renewal risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Risk models (general) (91B05)

Cites Work

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Cited In (23)

• Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations
• Ruin probabilities for a multidimensional risk model with non-stationary arrivals and subexponential claims
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• Asymptotic capital allocation based on the higher moment risk measure
• Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations
• Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
• Uniform approximation for the tail behavior of bidimensional randomly weighted sums
• An asymptotic study of systemic expected shortfall and marginal expected shortfall
• Asymptotic ruin probabilities for a bidimensional renewal risk model
• Precise large deviations of aggregate claims in bidimensional risk model with dependence structures
• Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
• Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
• Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims
• The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
• Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims
• Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
• Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
• Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
• Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
• Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims
• Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims

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